A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump‐diffusion‐ruin process
提出一个解析框架，通过迭代算法求解最优执行边界，为永续百慕大期权定价，数值结果显示该方法比现有方法更高效。
We propose an analytical‐form framework for pricing perpetual Bermudan options (PBOs) under the lognormal jump‐diffusion‐ruin model of Merton (1976). We first analytically derive the holding and early exercise values of PBOs. The optimal exercise boundary of the PBO, determined by equating the holding and early exercise values, is then solved using an iteration algorithm. We finally evaluate the PBO by taking the expectation of the option prices at the subsequent exercisable date and discounting it at the risk‐free rate. The numerical results indicate that our method is far more efficient than the competing methods in the literature for pricing PBOs.